1. Jeff Waters (Annihilator) - can play almost any style, and is godly at every aspect. His picking speed is also just brutal.
2. Gregor Mackintosh (Paradise Lost) - created a genre of music and is unique in his style, plays everything from slow to mid-tempo to fast with equal ease and awesomeness.
3. Dushan Petrossi (Magic Kingdom, Iron Mask) - He's often compared to Yngwie Malmsteen, except he writes more accessible stuff while remaining awesome. I only vaguely know his Magic Kingdom stuff though, I'm more impressed with Iron Mask.
4. Kai Hansen - Need I say more? Another innovative, versatile player.
5. Victor Smolski (Rage) - He's simply amazing. The last album Strings To A Web is again full of mind-blowing guitar, and he manages to make it fit with the music. No more I can say really.

I can see why people like him, but personally I find Megadeth extremely desinteresting, and I have tried listening to them. Funny thing is, Mustaine asked Jeff to join his band on a couple of occasions.